Cromwell J.B., Hannan M.J., Labys W.C., Terraza M. Multivariate Tests for Time Series Models

Thousand Oaks: SAGE, 1994. — 107 p.Which time series test should researchers choose to best describe the interactions among a set of time series variables? Providing guidelines for identifying the appropriate multivariate time series model to use, this book explores the nature and application of these increasingly complex tests.Front Matter
Copyright
Series Editor's Introduction
Introduction
Testing for Joint Stationarity, Normality, and Independence
Testing for Cointegration
Testing for Causality
Multivariate Linear Model Specification
Multivariate Nonlinear Models
Model Order and Forecast Accuracy
Computational Methods for Performing the Tests
Appendix: Statistical Tables
References
About the Authors
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